This paper deals with the optimal filtering and optimal output-feedback control of discrete-time, linear time-varying non-Gaussian systems. In the hypothesis that the time-varying and non-Gaussian distributions of the state and mea- surement noises have bounded and known moments up to a given order, this work extends previous results about polynomial filtering and optimal control to the time-varying case. The properties of the resulting filtering and control algorithms are discussed in the light of a stable recursive representation of the Kronecker powers of the system obtained through a suitable rewriting of the system with an output injection term. The resulting sub-optimal algorithm in- herits the structure and the properties of the classical LQG approach but with enhanced performance.

Feedback Polynomial Filtering and Control of Non-Gaussian Linear Time-Varying Systems

CACACE F;
2019-01-01

Abstract

This paper deals with the optimal filtering and optimal output-feedback control of discrete-time, linear time-varying non-Gaussian systems. In the hypothesis that the time-varying and non-Gaussian distributions of the state and mea- surement noises have bounded and known moments up to a given order, this work extends previous results about polynomial filtering and optimal control to the time-varying case. The properties of the resulting filtering and control algorithms are discussed in the light of a stable recursive representation of the Kronecker powers of the system obtained through a suitable rewriting of the system with an output injection term. The resulting sub-optimal algorithm in- herits the structure and the properties of the classical LQG approach but with enhanced performance.
Stochastic Systems; Optimal control; Kalman filtering
File in questo prodotto:
Non ci sono file associati a questo prodotto.

I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.

Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/20.500.12610/4359
 Attenzione

Attenzione! I dati visualizzati non sono stati sottoposti a validazione da parte dell'ateneo

Citazioni
  • ???jsp.display-item.citation.pmc??? ND
  • Scopus 14
  • ???jsp.display-item.citation.isi??? ND
social impact